Hero (Ying xiong) (2002) [Flying Snow]: Commits suicide by stabbing herself, when she drives her sword through Tony Leung Chiu Wai's body after she kills him. (She also dies in two different accounts of events told by different characters: In Jet Li's story of what happened, Jet stabs her in the chest at the end of a swordfight. In Chen Daoming's theory, she is again stabbed in the chest by Jet at the end of a swordfight; her body is shown again afterwards lying in preparation for her funeral as Jet and Tony battle on the lake nearby. Both of these accounts are later revealed to be untrue.) (Thanks to Vince and BK)

Inglourious Basterds(2009) [Madame Mimieux]: Although her role was cut from the finished film (and is not included in the deleted scenes on the US DVD), her character died of a fever some time before the story begins; the only remaining reference to her character in the actual film is when Melanie Laurent explains to Christoph Waltz how she inherited the movie theatre. (Since her role was deleted from the film, it's debatable whether this counts, but since it's been suggested, I'll go ahead and list it.) (Thanks to Tommy)